The paper deals with the modelling of mutually dependent default times of several credit names through the intensity-based approach. We extend to the case of multiple ratings some previous results due to Schmidt (1998), Kusuoka (1999) and Jarrow and Yu (2001). The issue of the arbitrage valuation of simple basket credit derivatives is also briefly examined. We argue that our approach leads, in some cases, to a significant reduction of the dimensionality of the valuation problem at hand.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-1,
author = {Tomasz R. Bielecki and Marek Rutkowski},
title = {Dependent defaults and credit migrations},
journal = {Applicationes Mathematicae},
volume = {30},
year = {2003},
pages = {121-145},
zbl = {1031.60068},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-1}
}
Tomasz R. Bielecki; Marek Rutkowski. Dependent defaults and credit migrations. Applicationes Mathematicae, Tome 30 (2003) pp. 121-145. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-1/